www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceofanAsianOptionUsingtheKemnaVorstModelExample.m
%% Compute the Price of an Asian Option Using the Kemna-Vorst Model % Copyright 2015 The MathWorks, Inc. %% % Define the |RateSpec|. StartDates = 'Jan-1-2013'; EndDates = 'Jan-1-2014'; Rates = 0.035; Basis = 1; RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates, ... 'EndDates', EndDates,'Rates', Rates, 'Compounding', -1, 'Basis', Basis) %% % Define the |StockSpec| for the asset. AssetPrice = 100; Sigma = 0.15; DivType = 'continuous'; DivAmounts = 0.03; StockSpec = stockspec(Sigma, AssetPrice, DivType, DivAmounts) %% % Define the Asian |'call'| and |'put'| options. Strike = 102; OptSpec = {'put'; 'call'}; Settle = 'Jan-1-2013'; Maturity = 'Apr-1-2013'; %% % Compute the European geometric Average Price for the Asian option using % the Kemna-Vorst model. Price = asiansensbykv(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity)